How to make 404 page return Page not Found headers?

I edited the 404 page, and it shows as the only error template. It works, in that when you visit an invalid address, you see that page. However, a recent SEO scan gave me the message below. Did I miss a step? How to make 404 mean 404?

Thanks!

The 404 page is not working correctly

If a page is not found. return a 404 - page not found response code in the headers. This tells spiders like Google that the page doesn’t exist, and they should not index it.
This 404 page returns a 200 - OK code, telling the spider that it is OK. This may result in many indexed error pages.

Hey Rob,

thanks for getting in touch.

Unfortunately I am not able to reproduce the issue.

Existing page:

Page that does not exist:

Could you share some examples of pages that you’re having those problems with?

Best,

André